Peters, F. and Kucinskas, S. (2023). Measuring Under- and Overreaction in Expectation Formation Review of Economics and Statistics, :.
137 Key Publications
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Fan, Z., Londono, J. and Xiao, X. (2022). Equity tail risk and currency risk premiums Journal of Financial Economics, 143(1):484--503. -
Hendershott, T., Menkveld, AlbertJ., Praz, R. and Seasholes, M. (2022). Asset Price Dynamics with Limited Attention Review of Financial Studies, 35(2):962--1008. -
Böhm, H., Schaumburg, J. and Tonzer, L. (2022). Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe IMF Economic Review, :. -
Custodio João, I., Lucas, A., Schaumburg, J. and Schwaab, B. (2022). Dynamic clustering of multivariate panel data Journal of Econometrics, :. -
Boonen, T. and Liu, F. (2022). Insurance with heterogeneous preferences Journal of Mathematical Economics, :. -
Daniel, K., Klos, A. and Rottke, S. (2022). The Dynamics of Disagreement Review of Financial Studies, :. -
Markiewicz, A., Verhoeks, R., Verschoor, W. and Zwinkels, R. (2022). Inattentive Search for Currency Fundamentals IMF Economic Review, :. -
Andonov, A., Kraussl, R. and Rauh, J. (2021). Institutional Investors and Infrastructure Investing Review of Financial Studies, :. -
Baltussen, G., Swinkels, L.A.P. and van Vliet, W.N. (2021). Global Factor Premiums Journal of Financial Economics, :. -
Jank, S., Roling, C. and Smajlbegovic, E. (2021). Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices Journal of Financial Economics, 139(1):209--233. -
Eichholtz, P., Korevaar, M., Lindenthal, T. and Tallec, R. (2021). The Total Return and Risk to Residential Real Estate Review of Financial Studies, :. -
Jovanovic, B. and Menkveld, AlbertJ. (2021). Equilibrium bid-price dispersion Journal of Political Economy, :. -
Gryglewicz, S.(., Mancini, L., Morellec, E., Schroth, E. and Valta, P. (2021). Understanding Cash Flow Risk Review of Financial Studies, :. -
Garratt, R. and van Oordt, M.R.C. (2021). Privacy as a public good: A case for electronic cash Journal of Political Economy, 129(7):2157--2180. -
Andonov, A. and Rauh, JoshuaD. (2021). The Return Expectations of Public Pension Funds Review of Financial Studies, :. -
Gryglewicz, S.(., Mayer, S. and Morellec, E. (2021). Optimal financing with tokens Journal of Financial Economics, :. -
Ikefuji, M., Laeven, R., Magnus, J. and Muris, C. (2021). Earthquake risk embedded in property prices: Evidence from five Japanese cities Journal of the American Statistical Association, :. -
Ben-David, I. and Bos, M. (2021). Impulsive Consumption and Financial Well-Being: Evidence from an Increase in the Availability of Alcohol Review of Financial Studies, 34(5):2608--2647. -
Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2021). Maximum likelihood estimation for score-driven models Journal of Econometrics, :.